Basic Premium

Redeemed EU CLO AAA Tranches: WALs and IRRs By Vintage 394 redeemed AAA tranches (original and refinanced/reset) are included in...

Thanks to the OID (original issue discount), the pull to par effect bumped IRRs up meaningfully. However, it is not great for CLO equity investors from a funding standpoint.

Is the Post-FInancial Crisis Arbitrage US CLO Structure Too Conservative? The term 'arbitrage' would suggest a pretty good average IRR...

It appears that size is an advantage in the US CLO market based on managers’ latest alpha metrics (as of 28 Apr 2022).

On average, US CLO equity IRR varies a lot by vintage. The best vintage is undoubtedly 2020 based on the post-2012 deals redeemed so far. The best vintage in terms of annual equity distribution is the 2012 vintage deals.

EU CLOs: Is WARF a Good Risk Measure?  EU CLO ManagerHigher WARFMid-WARFLowerWARFAv. WARF (closing date to 28 Feb 20)x>28502785<=x<2850x<2785EU CLO...

US CLO Managers: WARF Does Not Appear to be a Good Risk Measure Av. WARF (Closing date to 28 Feb...

In general, it is easy to assume that managers who build par normally perform better. However, it also depends on the quality of the par build. Besides, the distribution...

EU CLO Deal Performance: Vertical Strip or Horizontal Slice? A sample of 218 EU deals (vintage 2015–2019) is included in...

Investment Performance of EU CLO Deals (Breakdown by Arranging Bank) Dealers bring EU CLO deals to the market. Managers work...

League Table: EU CLO Manager AUM (as of 31 March 2022) Please see the table below for the full list...

League Table: US CLO Manager AUM (as of 31 March 2022) Please see the table below for the list of...

The tables below show the attractive value of a captive CLO equity fund for any CLO manager.

Many factors can lead to a call by CLO equity investors: When it makes economic sense to call a deal,...

US CLOs: Latest Arb Returns by Vintage A sample of 417 deals (2016–2020 vintage) is included in this study.The arbitrage...